Navigating Uncertainty: Enhancing Markowitz Asset Allocation Strategies through Out-of-Sample Analysis

Navigating Uncertainty: Enhancing Markowitz Asset Allocation Strategies through Out-of-Sample Analysis

This research paper explores the complicated connection between uncertainty and the Markowitz asset allocation framework, specifically investigating how mistakes in estimating parameters significantly impact the performance of strategies during out-of-sample evaluations. Drawing on relevant literatu...

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Bibliographic Details
Main Author: Vijaya Krishna Kanaparthi
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:FinTech
Subjects:
expected events
equally weighted allocation
Markowitz asset allocation
out-of-sample events
Online Access:https://www.mdpi.com/2674-1032/3/1/10

Internet

https://www.mdpi.com/2674-1032/3/1/10

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